Model discussion

[TraderD]

Pascal,
Although it might prove interesting to include evolving measure(s) of volatility to improvement the Market timing model, my intuition tells me that it won't make a great difference. Absolute non volatility measures of OB/OS do a very good job of estimating value (RSI & STO are absolute measures).
Pierre Brodeur

An absolute measure of an OB/OS oscillator requires an absolute numeric threshold to be used. Since it's unrealistic (and often unwieldy) to expect the chosen threshold to always be right (ie high Win%), two other goals are typically preferred:
(1) Win a lot when you're right and lose a little when you're wrong (ie high gain ratio, which leads to high PF)
(2) Make the threshold choice such that performance isn't overly sensitive to slight changes of threshold value

The problem with OS threshold misses is that they inevitably lead to a large loss in the form of a string of mis-directed trades (repeated attempts to re-short an uptrend instead of being in buy mode). Only testing can check whether requirement #2 above holds with a choice of -70. My gut feeling is that this could be a problem without use of a more relaxed direction determinant, possibly involving another independent indicator.

Trader D